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Bias-corrected estimation in dynamic panel data models

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Author Info
Bun,M.J.G.
Carree,M.A. (METEOR)

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Abstract

This study develops a new bias-corrected estimator for the fixed-effects dynamic panel data model and derives its limiting distribution for fixed T and N large. The bias-corrected estimator is derived as a bias correction of the least-squares dummy variable (within) estimator. It does not share some of the drawbacks of recently developed IV and GMM estimators and is relatively easy to compute. Monte Carlo experiments provide evidence for the bias-corrected estimator to perform well even in small samples. The paper contains an application to a model of unemployment dynamics at the U.S. state level for the 1991-2000 period.

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Publisher Info
Paper provided by Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization in its series Research Memoranda with number 025.

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Date of creation: 2002
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Handle: RePEc:dgr:umamet:2002025

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Keywords: labour economics

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This paper has been announced in the following NEP Reports: Cited by:
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  1. Thanh Dinh Thi Huyen & Kleimeier Stefanie, 2006. "Credit Scoring for Vietnam’s Retail Banking Market: Implementation and Implications for Transactional versus Relationship Lending," Research Memoranda 012, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  2. Lokshin, Boris, 2008. "Further results on bias in dynamic unbalanced panel data models with an application to firm R&D investment," UNU-MERIT Working Paper Series 039, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology. [Downloadable!]
  3. Kazuhiko Hayakawa, 2007. "Dynamic Panel Data Models with Cross Section Dependence and Heteroscedasticity," Hi-Stat Discussion Paper Series d07-212, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  4. Hiroaki Chigira & Taku Yamamoto, 2006. "A Bias-Corrected Estimation for Dynamic Panel Models in Small Samples," Hi-Stat Discussion Paper Series d06-177, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  5. Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation, Yale University. [Downloadable!]
  6. Olli Castrén & Stéphane Dées & Fadi Zaher, 2008. "Global Macro-Financial Shocks and expected default frequencies in the Euro area," Working Paper Series 875, European Central Bank. [Downloadable!]
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